Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0457
Annualized Std Dev 0.2826
Annualized Sharpe (Rf=0%) -0.1616

Row

Daily Return Statistics

Close
Observations 4274.0000
NAs 1.0000
Minimum -0.1977
Quartile 1 -0.0061
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0073
Maximum 0.2967
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0005
Variance 0.0003
Stdev 0.0178
Skewness -0.3200
Kurtosis 37.9805

Downside Risk

Close
Semi Deviation 0.0133
Gain Deviation 0.0131
Loss Deviation 0.0161
Downside Deviation (MAR=210%) 0.0174
Downside Deviation (Rf=0%) 0.0133
Downside Deviation (0%) 0.0133
Maximum Drawdown 0.8247
Historical VaR (95%) -0.0239
Historical ES (95%) -0.0443
Modified VaR (95%) -0.0172
Modified ES (95%) -0.0172
From Trough To Depth Length To Trough Recovery
2007-05-21 2020-03-23 NA -0.8247 3484 3233 NA
2004-04-06 2004-05-10 2004-11-30 -0.1658 165 24 141
2005-09-21 2006-06-26 2006-10-09 -0.1522 265 192 73
2005-02-08 2005-03-29 2005-08-15 -0.1228 131 34 97
2006-11-17 2006-11-21 2006-12-12 -0.0833 17 3 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA 0.4 0 0 0.3 -0.3 0.2 2 0.8 -0.7 4.4 7.1
2005 2.2 -0.5 3.6 -0.2 0.9 2.6 0.7 0.3 1 1.2 -0.9 0 11.2
2006 1 0.3 0.9 0.1 0.3 0.8 -0.1 1 1 0.2 -0.6 -0.2 4.9
2007 0.4 -0.5 1.3 -0.3 0.1 1.6 -6.4 2.6 1.6 -1.1 -2.5 -0.2 -3.7
2008 -10.3 0.9 1.9 1.9 -0.1 -0.7 0.2 -1.9 0.2 4.2 -9.2 1.4 -11.9
2009 -1.9 -2.7 0.9 2.7 1.6 1.4 1.3 -1.7 -1.6 -2.7 1.2 0 -1.7
2010 1.8 1.2 0.8 -1 -1.8 0.2 0.5 2.2 0.8 0.3 1.2 0 6.4
2011 1.9 -0.1 0.4 -0.2 -1.7 0.9 0.7 0.4 -0.8 -2 0.7 -0.2 -0.1
2012 1.2 2.4 -0.9 -0.5 -1.4 2.6 1 0.7 -0.3 1 1.2 1.6 9
2013 -0.6 1.3 -0.2 2.5 -3 2.6 1.1 -0.2 0.5 -0.4 1.5 1.3 6.4
2014 0.1 0.8 0.1 0.2 0.6 0.3 0.3 -0.2 0.2 -0.2 -2.2 -1.3 -1.2
2015 0 -0.8 2 0 -0.7 -1.9 0.4 -1.4 -0.6 0.3 1.1 -1.2 -2.8
2016 0.9 2 -0.7 -0.9 0.7 0.4 -0.9 0.4 0.4 -0.8 -0.5 -0.1 0.9
2017 -0.6 0.3 -0.8 -0.2 0.5 -0.2 0.2 1.3 0.9 -0.6 1.3 -0.5 1.7
2018 -0.2 -0.1 1 -0.5 -0.3 0.9 -0.2 0 1 1.1 -0.1 -0.2 2.4
2019 0.7 1 -0.5 -0.5 0.1 -0.6 -0.9 0 -0.1 0.4 -0.5 0.8 0
2020 -0.3 -3.5 -5.2 -2.7 1.3 0.4 -0.4 0 -0.7 -0.9 1.1 -0.8 -11.4
2021 0.8 3.2 -0.3 NA NA NA NA NA NA NA NA NA 3.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-03-26  20   SPY    111. 3.00e-4 -3.00e-4  -0.034    0.0129    0.274  -0.011    -0.120 <NA>     NA    NA       NA
2 2004-03-29  20.0 SPY    113. 1.41e-2  2.68e-2  -0.0211   0.0263    0.298   0.0132   -0.113 <NA>     NA    NA       NA
3 2004-03-30  20.0 SPY    113. 3.40e-3  3.21e-2  -0.0275   0.0163    0.333  -0.0132   -0.128 <NA>     NA    NA       NA
4 2004-03-31  20.0 SPY    113. 1.20e-3  3.24e-2  -0.0206   0.0173    0.314  -0.0245   -0.120 <NA>     NA    NA       NA
5 2004-04-01  20.1 SPY    114. 6.00e-3  2.50e-2  -0.0165   0.0225    0.291  -0.0383   -0.132 <NA>     NA    NA       NA
6 2004-04-02  20.1 SPY    115. 7.60e-3  3.25e-2  -0.0116   0.0307    0.307  -0.0035   -0.121 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart